Report NEP-FMK-2006-07-15

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.

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Other reports in NEP-FMK

The following items were announced in this report:

• Daxue Wang, 2006, "Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market," Computing in Economics and Finance 2006, Society for Computational Economics, number 182, Jul.
• Emine Boz, 2006, "Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises," Computing in Economics and Finance 2006, Society for Computational Economics, number 19, Jul.
• Csaba Csávás & Szilárd Erhart, 2005, "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2005/44.
• Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006, "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series, Département des sciences administratives, UQO, number UQO-DSA-wp152006, Jul.
• Item repec:qeh:qehwps:qehwps113 is not listed on IDEAS anymore

• Stefan Reitz & M.P Taylor, 2006, "The Coordination Channel of Foreign Exchange Intervention," Computing in Economics and Finance 2006, Society for Computational Economics, number 16, Jul.
• Johann Burgstaller, 2006, "The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator?," Economics working papers, Department of Economics, Johannes Kepler University Linz, Austria, number 2006-02, Jul.
• Andrea Cipollini & George Kapetanios, 2006, "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 477, Jul.
• Honohan, Patrick, 2006, "Household financial assets in the process of development," Policy Research Working Paper Series, The World Bank, number 3965, Jul.
• de la Torre, Augusto & Gozzi, Juan Carlos & Schmukler, Sergio L., 2006, "Financial development in Latin America : big emerging issues, limited policy answers," Policy Research Working Paper Series, The World Bank, number 3963, Jul.
• Andrey M. Boyarshinov, 2006, "Mathematical methods of market risk valuation in application to Russian stock market," Computing in Economics and Finance 2006, Society for Computational Economics, number 127, Jul.
• Celso Brunetti & Alessio Caldarera, 2006, "Asset Prices and asset Correlations in Illiquid Markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 331, Jul.
• Baeyens, K. & Manigart, S., 2006, "Who gets private equity? The role of debt capacity, growth and intangible assets," Vlerick Leuven Gent Management School Working Paper Series, Vlerick Leuven Gent Management School, number 2006-24, Jun.
• Paul De Grauwe & Agnieszka Markiewicz, 2006, "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006, Society for Computational Economics, number 367, Jul.
• Geraldine Ryan, 2006, "The predictive power of the present value model of stock prices," Computing in Economics and Finance 2006, Society for Computational Economics, number 102, Jul.
• Lehner, Maria & Schnitzer, Monika, 2006, "Entry of Foreign Banks and their Impact on Host Countries," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 152, Jun.
• Yunus Aksoy & Kurmas Akdogan, 2006, "Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?," Computing in Economics and Finance 2006, Society for Computational Economics, number 12, Jul.
• Cyril Schoreels & Jonathan M. Garibaldi, 2006, "Comparative study of central decision makers versus groups of evolved agents trading in equity markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 410, Jul.
• William A. Barnett & Unja Chae & John W. Keating, 2006, "The discounted economic stock of money with VAR forecasting," Computing in Economics and Finance 2006, Society for Computational Economics, number 51, Jul.
• Ugo Albertazzi & Leonardo Gambacorta, 2006, "Bank Profitability and Taxation," Computing in Economics and Finance 2006, Society for Computational Economics, number 364, Jul.
• Marie-Claude Beaulieu & Lynda Khalaf & Marie-Hélène Gagnon, 2006, "Testing Financial Integration: Finite Sample Motivated Mothods," Computing in Economics and Finance 2006, Society for Computational Economics, number 233, Jul.
• Jean-Christian Lambelet & Alexander Mihailov, 2006, "The Triple-Parity Law," Computing in Economics and Finance 2006, Society for Computational Economics, number 33, Jul.
• Adrian Peralta-Alva & Sami Alpanda, 2006, "Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974," Computing in Economics and Finance 2006, Society for Computational Economics, number 49, Jul.
• Y. Morita & Md. J. Rahman & S. Miyagawa, 2006, "Estimation of Precautionary Demand by Financial Anxieties," Computing in Economics and Finance 2006, Society for Computational Economics, number 46, Jul.
• Elena Kalotychou & Ana-Maria Fuertes, 2006, "On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics," Computing in Economics and Finance 2006, Society for Computational Economics, number 509, Jul.
• Pau Rabanal, 2006, "Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model," Computing in Economics and Finance 2006, Society for Computational Economics, number 87, Jul.
• Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006, "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 151, May.
• J. Huston McCulloch & Ohio State University, 2006, "Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations," Computing in Economics and Finance 2006, Society for Computational Economics, number 173, Jul.
• Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006, "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 47, Jul.
• Ferre De Graeve, 2006, "The External Finance Premium and the Macroeconomy: US post-WWII Evidence," Computing in Economics and Finance 2006, Society for Computational Economics, number 84, Jul.
• Almuth Scholl & Harald Uhlig, 2006, "New Evidence on the Puzzles: Monetary Policy and Exchange Rates," Computing in Economics and Finance 2006, Society for Computational Economics, number 5, Jul.
• Jose Eduardo de A. Ferreira, 2006, "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics, School of Economics, University of Kent, number 0603, Jul.
• Anna Lipinska, 2006, "Monetary regime choice in the accession countries - a theoretical analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 243, Jul.
• Manoj Atolia & Edward F. Buffie, 2006, "Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts," Computing in Economics and Finance 2006, Society for Computational Economics, number 416, Jul.
• George W. Evans & Avik Chakraborty, 2006, "Can Perpetual Learning Explain the Forward Premium Puzzle?," University of Oregon Economics Department Working Papers, University of Oregon Economics Department, number 2006-8, Jun, revised 20 Aug 2006.
• Ida Wolden Bache, 2006, "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006, Society for Computational Economics, number 309, Jul.
• Yulei Luo, 2006, "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006, Society for Computational Economics, number 56, Jul.
• Jesús Ferreyra & Jorge Salas, 2006, "The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building," Working Papers, Banco Central de Reserva del Perú, number 2006-006, Jun.
• Jagjit Chadha & Sean Holly, 2006, "Macroeconomic Models and the Yield Curve," Computing in Economics and Finance 2006, Society for Computational Economics, number 105, Jul.
• Robalino, David A. & Bodor, Andras, 2006, "On the financial sustainability of earnings-related pension schemes with"pay-as-you-go"financing and the role of government indexed bonds," Policy Research Working Paper Series, The World Bank, number 3966, Jul.
• Ansgar Belke & Thorsten Polleit, 2006, "How the ECB and the US Fed Set Interest Rates," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany, number 269/2006.
• Kim P. Huynh & Robert J. Petrunia, 2006, "Financial Market Imperfections: Does it Matter for Firm Size Dynamics?," Computing in Economics and Finance 2006, Society for Computational Economics, number 428, Jul.
• Item repec:hum:wpaper:sfb649dp2006-052 is not listed on IDEAS anymore

• George Monokroussos, 2006, "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006, Society for Computational Economics, number 390, Jul.
• Mario Padula & Università di Salerno, 2006, "An approximate consumption function," Computing in Economics and Finance 2006, Society for Computational Economics, number 133, Jul.
• Arpad Abraham & Eva Carceles-Poveda, 2006, "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006, Society for Computational Economics, number 320, Jul.
• Yann Algan & Xavier Ragot, 2006, "Monetary Policy with Heterogeneous Agents and Credit Constraints," Computing in Economics and Finance 2006, Society for Computational Economics, number 292, Jul.
• Natasha Todorovic & Bhavesh Gokani, 2006, "Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets," Computing in Economics and Finance 2006, Society for Computational Economics, number 507, Jul.
• Alma Lilia Garcia-Almanza & Edward P.K. Tsang, 2006, "Forecasting stock prices using Genetic Programming and Chance Discovery," Computing in Economics and Finance 2006, Society for Computational Economics, number 489, Jul.
• M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006, "Learning, structural instability and present value calculations," Computing in Economics and Finance 2006, Society for Computational Economics, number 529, Jul.
• Hilde C. Bjørnland, 2006, "Monetary Policy and the Illusionary Exchange Rate Puzzle," Computing in Economics and Finance 2006, Society for Computational Economics, number 45, Jul.
• Fernando S. Oliveira & Derek W. Bunn & London Business School, 2006, "Modeling the strategic trading of electricity assets," Computing in Economics and Finance 2006, Society for Computational Economics, number 235, Jul.
• Baldur P. Magnusson, 2006, "Currency Predictions for Multi-Currency Instruments," Computing in Economics and Finance 2006, Society for Computational Economics, number 399, Jul.
• Maria Chli & Philippe De Wilde, 2006, "The emergence of knowledge exchange: an agent-based model of a software market," Computing in Economics and Finance 2006, Society for Computational Economics, number 361, Jul.
• Yoshifumi Muroi & Takashi Yamada, 2006, "Pricing problems of perpetual Bermudan options," Computing in Economics and Finance 2006, Society for Computational Economics, number 345, Jul.
• Jorge Baca-Campodónico & Luiz de Mello & Andrei Kirilenko, 2006, "The Rates and Revenue of Bank Transaction Taxes," OECD Economics Department Working Papers, OECD Publishing, number 494, Jun, DOI: 10.1787/652416621832.
• Gershkov, Alex & Toxvaerd, Flavio, 2006, "On Seller Estimates and Buyer Returns," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 143, Feb.
• Luiz Renato Lima & Breno Pinheiro Néri, 2006, "Comparing Value-at-Risk Methodologies," Computing in Economics and Finance 2006, Society for Computational Economics, number 1, Jul.
• C. Bora Durdu, 2006, "Are Indexed Bonds a Remedy for Sudden Stops?," Computing in Economics and Finance 2006, Society for Computational Economics, number 11, Jul.
• Carl Chiarella & Roberto Dieci & Tony He, 2006, "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006, Society for Computational Economics, number 108, Jul.
• Costas Xiouros, 2006, "Asset price volatilities and trading volumes in heterogeneous agent economies," Computing in Economics and Finance 2006, Society for Computational Economics, number 466, Jul.
• Eva Carceles Poveda & Chryssi Giannitsarou, 2006, "Asset pricing with adaptive learning," Computing in Economics and Finance 2006, Society for Computational Economics, number 25, Jul.
• Gang Gong & Jian Gao, 2006, "The Independent Monetary Policy under the Fixed Exchange Regime," Computing in Economics and Finance 2006, Society for Computational Economics, number 517, Jul.
• Boerner, Kira & Hainz, Christa, 2006, "The Political Economy of Corruption and the Role of Financial Institutions," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 135, Jun.
• Patricia McGrath, 2006, "Financial Deregulation and Industrial Development: Subsequent Impact on Economic Growth in the Czech Republic, Hungary and Poland," William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan, number 818, Feb.
• Alexandre Dmitriev, 2006, "Technological Transfers, Limited Commitment and Growth," Computing in Economics and Finance 2006, Society for Computational Economics, number 248, Jul.
• Maciej Cieslukowski & Rui Henrique Alves, 2006, "Financial Autonomy of the European Union after Enlargement," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 217, Jul.
• Krisztina Molnar & Sergio Santoro, 2006, "Optimal Monetary Policy when Agents are Learning," Computing in Economics and Finance 2006, Society for Computational Economics, number 40, Jul.
• Andersson, Henrik, 2006, "Willingness to Pay for Road Safety and Estimates of the Risk of Death: Evidence from a Swedish Contingent Valuation Study," Working Papers, Swedish National Road & Transport Research Institute (VTI), number 2006:5, Jul.
• Kaiji Chen & Ayse Imrohoroglu & Selahattin Imrohoroglu, 2006, "Secular Trends in U.S Saving and Consumption," Computing in Economics and Finance 2006, Society for Computational Economics, number 494, Jul.
• Hakenes, Hendrik & Peitz, Martin, 2006, "Observable Reputation Trading," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 131, Jun.
• Item repec:hum:wpaper:sfb649dp2006-051 is not listed on IDEAS anymore

Report NEP-FMK-2006-07-15

This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.

Subscribe to this report: email, RSS, or Mastodon, or Bluesky.

Other reports in NEP-FMK

The following items were announced in this report: